EGARCH

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In statistics the exponential general autoregressive conditional heteroskedastic (EGARCH) model by Nelson (1991) is another form of the GARCH model. Formally:

where g(Z_t) = θZ_t + λ( | Z_t | − E(Z_t)), is the conditional variance, ω, β, θ and λ are coefficients, and Z_t is a standard normal variable.

[edit] Literature

Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach, Econometrica 59: 347-370.

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Retrieved from "http://en.wikipedia.org../../../e/g/a/EGARCH_03e8.html"

Categories: Econometrics stubs | Time series analysis

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• This page was last modified 19:24, 2 January 2007 by Anonymous user(s) of Wikipedia. Based on work by Wikipedia user(s) AdamSmithee, John Quiggin and Dirknachbar.
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